macroption
@macroption
Random observations from non-random markets. Mainly equity indices, options & volatility. Petr Houstecky.
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The two most important parts of market crashes: - In hindsight they always go too far. - They always rebound well before the real economy.
Updated the $VIX all-time high stats page with some comparison of current spike vs. 2008 vs. 1987 macroption.com/vix-all-time-h…
Today $VIX in context: #4 all-time highest close (75.47), #9 all-time highest intraday (76.83), #1 all-time biggest close-to-close increase (+21.57). We've reached 2008 panic levels, but not quite 1987 levels. Full stats here: macroption.com/vix-all-time-h…
VIX All-Time Lows and Sub-10 Days Overview macroption.com/vix-all-time-l…
Spot $VIX at record low but futures from December exp onwards are above the 20-23 Oct lows; long end & $VIXM strong last 2 days
OVX ( $USO $VIX ) on track to close highest since June 2012 (now 38.63)
Fourth year in a row that the S&P 500 has been down on the 1st trading day of December. Index was up remainder of month in '11, '12, '13.
First day of month unusually bearish in 2014: 9/12 negative, mean = -0.40%. Also 4/12 within +- 0.1%. Only 1 Apr + 1 Jul were > +0.1%. $SPX
$SPX most negative day since 22 Oct. Only second day since mid Oct low with d/d < -0.3%
$VIX futures contango settled at 5.94%. This is high for early in the expiration cycle. It is expensive to hold $VXX and $UVXY long term
The last four American presidents have all had an opposition-controlled Congress at some point econ.st/1tZLCYn
Crashing oil prices and rising interest rates make this a scary chart buff.ly/1rTJAnh
When $SPX + $INDU made all time highs on 18-19 Sept, $VIX was 12. The recent selloff has left some scars (currently priced at 2+ VIX points)
For comparison, on $VIX December has the 4th (all time) / 5th (2011-2013) highest average closing value.
So far, the year end low vol pattern worked in all 4 years of VNKY data history. Dec+Jan have lowest avg close.
VNKY up 4.23 to 25.22 on BOJ news. It hasn't closed above 30 since 6 Feb.
The 5 stocks with the biggest weightings in the DJIA aren't even in the top 20 for weightings in the S&P 500. $V $GS $IBM $MMM $BA
Survey Shows an Urgency to Automate the Back Office ow.ly/DywZ0 via @wallstreettech
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